VARXResult.granger_causality#

VARXResult.granger_causality(cause, effect)[source]#

Wald test that one variable’s lags are jointly zero in another equation.

Parameters:

  • cause (str) – The variable whose lags are restricted.

  • effect (str) – The equation the restriction is applied to.

Return type:

_WaldTest

Returns:

A _WaldTest naming the non-causality null.

Raises:

SpecificationError – If either name is unknown, they are the same variable, or the model has no lags to restrict.